I've been playing to FFX with pscx2 and the plugin ZeroGS for a long time ; it is not perfect, but i'm pretty satisfied of the job, with anti-aliasing, the game is just beautiful.

Well, today, I played FFX-2, and I had to try gsdx for the first time (because the cinematics do not work with ZeroGS). This plugin seems to make a great job and seems to be very popular, but... damned, where are the awsome anti-aliasing we can have with ZeroGS ?! I know there is the F5 key, to use some "interlacing", but god, there is just no comparison, ZeroGS make the game so BEAUTIFUL, I didn't found any setting for gsdx that gives the half of this result... (tried D3D10 software, pixel shader 2 and 3, and every interlacing... none gave same job as zerogs)

This is a pity, because gsdx seems to make a great job execpt this point... maybe I just missed some options or means to have beautiful graphics like ZeroGS does ?

In the GSdx Control panel is some options for "Internal Resolution." The default is usually native res. Use something else, like 1280x1024, or higher if you have a modern-ish GPU. The results should speak for themselves.

go to your pcsx2 directory\Inis\ and there should be a GSDX.ini somewhere there, open it with notepad or any other text editing program and search for the MSAA=0 Line, if not present just add MSAA=X (where X is just replace by the AA level 2:4:8:16)

but like Air suggested its better to use the Upscaling x2, x3, x4 (x3 works best) function or changing the internal resolution.

ZeroGS doesn't have real AA it basically just increases the internal resolution, thing you can already do in GSdx while choosing your custom AA or different scaling options if using one of the latest GSdx. Gsdx additionally has MSAA which you use the way Imbapally explained but it's only available on somewhat recent GSdx revisions and it can be very slow on some graphic cards.

All right, I'm just stupid, I put "direct 3D software" instead of "hardware" : now I understand what you mean, juste have to increase the D3D resolution to have a beautiful game, right ? However, I cannot find Upscaling x2 x3 etc. in the options...

Another problem is with cinematics on FFX-2 : it seems that the only way to make it working is to use direct 3D software... no solution for that it obviously...

Upscaling was introduced in newer versions of GSdx by rama, you can get one of these from our site. It's in the December 30 plugin pack (in the beta section)
FFX-2 only has problems in videos with Hardware mode, which are like 4 throughout the whole game. After the video is over switch back to Hardware from Software and you're set.